TY - JOUR
T1 - Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
AU - Fergusson, K.
N1 - Funding Information:
This research is supported by an Australian Government Research Training Program Scholarship (Department of Education, Australian Government).
Publisher Copyright:
© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/11/26
Y1 - 2019/11/26
N2 - The Cox–Ingersoll–Ross CIR short rate model is a mean-reverting model of the short rate which, for suitably chosen parameters, permits closed-form valuation formulae of zero-coupon bonds and options on zero-coupon bonds. This article supplies proofs of the formulae for the expected present value of payoffs under the real-world probability measure, known as actuarial valuation. Importantly, we give formulae for asymptotic levels of bond yields and volatilities for extended CIR models when suitable conditions are imposed on the model parameters.
AB - The Cox–Ingersoll–Ross CIR short rate model is a mean-reverting model of the short rate which, for suitably chosen parameters, permits closed-form valuation formulae of zero-coupon bonds and options on zero-coupon bonds. This article supplies proofs of the formulae for the expected present value of payoffs under the real-world probability measure, known as actuarial valuation. Importantly, we give formulae for asymptotic levels of bond yields and volatilities for extended CIR models when suitable conditions are imposed on the model parameters.
UR - http://www.scopus.com/inward/record.url?scp=85067542452&partnerID=8YFLogxK
U2 - 10.1080/03461238.2019.1627574
DO - 10.1080/03461238.2019.1627574
M3 - Article
AN - SCOPUS:85067542452
SN - 0346-1238
VL - 2019
SP - 867
EP - 902
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
IS - 10
ER -